Portfolio & Risk · Construct and monitor

What the portfolio owns, as opposed to what it holds.

Bring positions together, decompose risk against a benchmark into factor and security-specific parts, attribute returns, and test the book against historical and hypothetical scenarios.

Factor model

PORT
Factors in the benchmark-relative risk model and what each one captures
FactorGroupCaptures
MarketMarketBroad equity market exposure
SizeStyleSmall versus large capitalisation
ValueStyleValue versus growth
MomentumStyleRecent winners versus the market
QualityStyleProfitability and balance-sheet strength
Low VolatilityStyleDefensive, low-volatility names
IndustryIndustrySector exposures, chosen from the holdings
Developed ex-USCountryInternational developed markets
Emerging MarketsCountryEmerging-market exposure
US DollarCurrencyDollar strength

Every security and the benchmark are estimated on the same factors. What the factors do not explain is security-specific risk, and the contributions add back exactly to tracking error.

Stress scenarios

RISK
The seven stress scenarios in the Risk Dashboard and the market shocks each applies
ScenarioShocks applied
2020 COVID CrashUS equities -34% · Long Treasuries +8% · Gold -2%
2022 Rate Hike RegimeUS equities -19% · Long Treasuries -31% · Gold -1%
2008 GFCUS equities -55% · Long Treasuries +25% · Gold +5%
+200bps Rate ShockUS equities -15% · Long Treasuries -20% · Gold -5%
Tech Selloff -30%Nasdaq 100 -30% · US equities -18% · Long Treasuries +5%
USD Spike +10%Emerging markets -15% · Gold -8% · Oil -10%
Soft Landing RallyUS equities +15% · Long Treasuries +8% · Gold -3%

Every scenario runs against the whole book in one click, long and short positions included.

Questions it answers

What a desk asks of it.

  • Where does the tracking error come from: market, style, industry, country or currency?
  • Which positions drove today's active return against the benchmark?
  • What is the one-day VaR and expected shortfall, by parametric and historical method?
  • What happens to the book in a 2022-style rate shock or a 2020-style crash?

What it includes

The modules in Portfolio & Risk.

Each one is a working window in the terminal, opened by the code shown.

  • PORT

    Portfolio & Risk Analytics

    Benchmark-relative risk model: active exposures to market, style, industry, country and currency factors, contribution to tracking error by factor and by security, and position-level return attribution against the benchmark.

  • RISK

    Risk Dashboard

    Parametric and historical VaR, expected shortfall, maximum drawdown and a correlation matrix, with seven historical and hypothetical stress scenarios.

  • PC

    Portfolio Command

    Positions, gross and net exposure, long and short books, net beta, contributors and detractors, and a sizing engine.

  • ALRT

    Alerts

    Rules on price, drawdown, fundamental score and macro regime change.

  • TJ

    Trade Journal

    A record of trades with their thesis and invalidation level, and the statistics of the book's decisions.

  • FND

    Fund Analyzer

    ETF and fund analysis: holdings, documents, side-by-side comparison and a data-quality check.

Method

How the output is built.

A transparent factor model
Market, style, industry, country and currency factors, estimated on the same basis for every security and the benchmark. Contributions add back exactly to tracking error.
Two VaR methods, side by side
Parametric and historical-simulation VaR are reported together with expected shortfall, so tail risk stands out immediately.
Scenarios you can read
Every stress scenario shows the shocks it applies, so the result can be explained to a committee line by line.

What your team gets

The outcome, not the feature list.

  • Tracking error explained by factor and by position, not reported as one number.
  • Every book stress-tested against the crises that matter, in seconds.
  • The conditions that would change a view written down and monitored.

Request a demo

See it on your own questions.

A demo is a working session in the platform on a question you bring: a release, a company, a position or a portfolio. We reply within two business days.